Certainly the Balrog was a menace and perilous threat both Physically and Spirtually.The Nazgul could hurt other's well enough. But, events in the books cancel the notion that magic cannot harm material beings, as evinced by the Goblins killed by Gandalf's blast, burned by his sparks, the wargs engulfed by his flames etc. etc.

Though that magic might not be a pure manifestation of Spirit, so much as Spiritual power enhancing natural forces for greater effect.

In Reply To

This thing about Nazgul being hardly consistent in the material world, because they are ghost, and frodo going in the spirit's world when he's stabbed by them : it implies the existence of two parallel realities, connected by the beings that are existent on both, like the istaris or the balrogs. And just like it's useless to try to harm a total spirit with a sword, it may be useless to try to harm a troll, which is only existent in the material world, with magic, if we suppose magic to be some spiritual force... but I'm not sure.

"Hear me, hounds of Sauron, Gandalf is here! Fly if you value your foul skins, I will shrivel you from tail to snout if you step within this circle!"

"Do not be to eager to deal out death in judgement. Even the very wise cannot see all ends."